Published on 4/28/2021 in the Prospect News Structured Products Daily.
New Issue: BMO sells $1.5 million autocallable barrier notes with memory coupons on indexes
By Wendy Van Sickle
Columbus, Ohio, April 28 – Bank of Montreal priced $1.5 million autocallable barrier notes with memory coupons due April 15, 2024 linked to the Russell 2000 index, the S&P 500 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.
Every month, the notes will pay a coupon equal to 4.1% per year if each index’s closing level is more than 50% of its initial level on the observation date for that month, plus any previously unpaid coupon.
The notes will be automatically redeemed at par plus the contingent coupon if each index closes above its initial level on any monthly observation date after six months.
If the notes are not called, the payout at maturity will be par unless the final level of any index is less than 50% of its initial level, in which case investors will lose 1% for each 1% decline from the initial level of the least-performing index.
BMO Capital Markets Corp. is the agent.
| Issuer: | Bank of Montreal
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| Issue: | Autocallable barrier notes with memory coupons
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| Underlying indexes: | Russell 2000 index, S&P 500 index and Dow Jones industrial average
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| Amount: | $1.5 million
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| Maturity: | April 15, 2024
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| Coupon: | 4.1% per year, payable monthly if each index closes above its coupon barrier on the observation date for that month, plus any previously unpaid coupon
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| Price: | Par
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| Payout at maturity: | Par unless the final level of any index is less than 50% of its initial level, in which case investors will lose 1% for each 1% decline from the initial level of the least-performing index
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| Call: | At par plus contingent coupon if the indexes close at or above their initial levels on any monthly observation date after six months
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| Initial levels: | 4,127.99 S&P, 33,745.4 for Dow, 2,233.784 for Russell
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| Coupon barriers: | 2,064.0 for S&P, 16,872.7 for Dow, 1,116.892 for Russell, 50% of initial levels
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| Downside thresholds: | 2,064.0 for S&P, 16,872.7 for Dow, 1,116.892 for Russell, 50% of initial levels
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| Pricing date: | April 12
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| Settlement date: | April 15
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| Agent: | BMO Capital Markets Corp.
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| Fees: | 0.25%
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| Cusip: | 06368EJJ2
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